Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0000 |
| Annualized Std Dev | 0.1277 |
| Annualized Sharpe (Rf=0%) | 0.0002 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3626.0000 |
| NAs | 1.0000 |
| Minimum | -0.0813 |
| Quartile 1 | -0.0031 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0035 |
| Maximum | 0.0811 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0080 |
| Skewness | -0.6713 |
| Kurtosis | 19.2402 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0060 |
| Gain Deviation | 0.0057 |
| Loss Deviation | 0.0069 |
| Downside Deviation (MAR=210%) | 0.0111 |
| Downside Deviation (Rf=0%) | 0.0060 |
| Downside Deviation (0%) | 0.0060 |
| Maximum Drawdown | 0.3872 |
| Historical VaR (95%) | -0.0111 |
| Historical ES (95%) | -0.0199 |
| Modified VaR (95%) | -0.0115 |
| Modified ES (95%) | -0.0136 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-26 | 2009-02-02 | NA | -0.3872 | 3414 | 384 | NA |
| 2007-02-23 | 2007-03-05 | 2007-03-22 | -0.0403 | 20 | 7 | 13 |
| 2006-10-25 | 2006-11-27 | 2006-12-15 | -0.0257 | 37 | 23 | 14 |
| 2007-01-23 | 2007-02-01 | 2007-02-21 | -0.0188 | 21 | 8 | 13 |
| 2007-06-20 | 2007-06-27 | 2007-07-09 | -0.0137 | 13 | 6 | 7 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | 0.2 | -0.4 | -0.2 | -0.4 |
| 2007 | -0.3 | -0.5 | 0.1 | 0.3 | 0.7 | -0.5 | 0.2 | 0.2 | 0.8 | -1.4 | 1 | 0.1 | 1 |
| 2008 | 0.9 | -2 | 0.7 | 0.1 | -0.3 | -0.4 | -0.8 | -0.4 | 0 | -0.2 | -4.6 | 4.7 | -2.6 |
| 2009 | -1.1 | -1.4 | -0.5 | 0.8 | 2.1 | -0.4 | 0.4 | -1.7 | -1 | -1.9 | 1.1 | 0.8 | -2.8 |
| 2010 | 0.6 | 0.5 | 0.4 | -0.4 | -0.6 | -0.1 | 0.8 | 2.3 | 0.5 | 0.5 | 1.7 | 0.5 | 7 |
| 2011 | 0.6 | -0.3 | 1.1 | 0 | -1.5 | 0.4 | 0 | -0.4 | -0.4 | -1.4 | -0.3 | 0.4 | -1.6 |
| 2012 | 0.7 | 0.4 | 0.2 | -0.2 | -0.6 | 1.3 | -0.2 | 0.1 | -0.3 | 0.6 | 0.1 | 0.8 | 3.2 |
| 2013 | 0.5 | 0.3 | -0.6 | -0.8 | -1 | 0.3 | 0 | -0.6 | 0.2 | 0.2 | 0.1 | 0.7 | -0.7 |
| 2014 | -0.2 | -0.4 | -0.1 | 0.1 | 0.2 | 0.3 | 0.1 | 0.1 | -0.4 | 1 | 0.2 | 0.4 | 1.2 |
| 2015 | 0.3 | 0.4 | -0.4 | -0.9 | -0.4 | 0.4 | -0.3 | -1.7 | 0 | 0.8 | 0.8 | 0.6 | -0.4 |
| 2016 | 0 | 1 | -0.3 | -0.2 | 0.1 | 0 | -0.6 | -0.2 | 0.3 | -0.2 | 0.2 | -0.4 | -0.3 |
| 2017 | 0 | 0.1 | 0 | 0.4 | 0 | 0.2 | 0.1 | 0.5 | -0.1 | 0.2 | 0.6 | -0.4 | 1.4 |
| 2018 | -0.9 | -1.1 | 0.9 | 0 | -0.2 | -0.6 | 0.1 | -0.2 | 1.5 | 0.2 | 0.6 | 1.6 | 2 |
| 2019 | 0.2 | -0.2 | 0.4 | -0.5 | -0.4 | 0.7 | -0.7 | 0.2 | -0.7 | 0.5 | -0.6 | 0.1 | -1 |
| 2020 | -0.6 | -0.7 | -0.6 | -2.1 | 1.1 | -0.2 | 0.8 | 0 | 0 | 0.1 | -0.2 | 0.6 | -1.9 |
| 2021 | 0.1 | 0.6 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
